Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation

DOI10.1080/14697688.2015.1114364zbMath1468.91191OpenAlexW2262951216WikidataQ59254843 ScholiaQ59254843MaRDI QIDQ5001127

Philipp Thoma, Georg Ch. Pflug

Publication date: 16 July 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://pure.iiasa.ac.at/id/eprint/11927/1/Efficient%20calculation%20of%20the%20Greeks%20for%20exponential%20Levy%20processes.pdf

zbMATH Keywords

Lévy processesAsian optionsexotic optionslookback optionestimation of Greeksmeasure valued differentiation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

European and Asian Greeks for exponential Lévy processes

Uses Software

• DerivaGem

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Malliavin calculus applied to finance
• Sensitivity estimation for Gaussian systems
• Measure-valued differentiation for Markov chains
• Weak Differentiability of Product Measures
• The Asymptotic Efficiency of Simulation Estimators
• Gradient estimation for discrete-event systems by measure-valued differentiation
• Single-Run Gradient Estimation Via Measure-Valued Differentiation
• Malliavin Calculus with Applications to Stochastic Partial Differential Equations

This page was built for publication: Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation